Research

Publications/Working Papers

▶ Publications

    1. "Annuitization and Asset Allocation with Borrowing Constraint" (with Jin-Gi Kim and Seyoung Park)
      Operations Research Letters, forthcoming.

    2. "Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao)
      Insurance: Mathematics and Economics, forthcoming.

    3. "의료 블록체인 비즈니스 활용 장벽 연구" (서웅기, 박준성, 김태윤, 곽지영, 한성호, 장혜지, 채지원, 고영인, 김진기 공저)
      대한산업공학회지, 제45권, 제6호, 2019년 12월, 521-528.

    4. "Optimal Consumption and Investment with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park)
      Insurance: Mathematics and Economics, Vol 88, Sep. 2019, 44-56.

    5. "DNS 모형을 통한 금리 충격 시나리오 산출 및 분석 방안" (태현욱, 김병준, 노건엽, 박경국 공저)
      보험금융연구, 제30권, 제2호, 2019년 6월, 3-53.

    6. "주택연금을 고려한 개인의 생애주기 자산배분 연구" (김진기, 이상구, 안세륭 공저)
      보험학회지, 제118집, 2019년 4월, 1-29.

    7. "Option Pricing with Regime Switching: Integrations over Simplexes Method" (with Hyeon-Wuk Tae)
      Finance Research Letters, Vol24, 2018, 301-312.

    8. "국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략" (강민정, 김병준 공저)
      한국증권학회지, 제46권, 제5호, 2017년 12월, 1033-1060.

    9. "한국형 자동이체식 주택저당증권에 대한 가치평가모형 개발" (태현욱, 서웅기, 김준석, 노종혁, 안세륭 공저)
      선물연구, 제25권, 제3호, 2017년 8월, 305-337

    10. "서울 아파트 매매가의 영구적, 일시적 요인 분석" (김진기, 이현탁 공저)
      부동산학연구, 제23집, 제1호, 2017년 3월, 19-37.

    11. "Net Contribution, Liquidity, and Optimal Pension Management" (with Changhui Choi, Changki Kim, and Sang-youn Roh)
      Journal of Risk and Insurance, Vol 83, Issue 4, 2016, 913-948.

    12. "Business Cycle and Credit Risk Modeling with Jump Risks" (with Yuna Rhee and Ji Hee Yoon)
      Journal of Empirical Finance, Vol 39 (Part A), 2016, 15-36.

    13. "Robust Consumption and Portfolio Rules with Time-Varying Model Confidence" (with Seungkyu Lee and Byung Hwa Lim)
      Finance Research Letters, Vol 18, Aug. 2016, 342-352.

    14. "Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint" (with Seyoung Park)
      Finance Research Letters, Vol 18, Aug. 2016, 158-176.

    15. "Asset Demands and Consumption with Longevity Risk" (with Hyeng Keun Koo and Yuna Rhee)
      Economic Theory, Vol 62, Issue 3, 2016, 587-633.

    16. "Unemployment Risks and Optimal Retirement in an Incomplete Market" (with Alain Bensoussan and Seyoung Park)
      Operations Research, Vol 64, Issue 4, 2016, 1015-1032.

    17. "보험부채 공정가치 평가목적 할인율에 관한 연구" (노건엽, 태현욱 공저)
      보험학회지, 제107집, 2016년 7월, 75-108.

    18. "서울아파트시장에서 영구적•일시적 가격충격의 시간에 따른 변화 분석" (김은영, 이현탁 공저)
      금융공학연구, 제15권, 제2호, 2016년 6월, 1-28.

    19. "인구변화를 고려한 자동차요율 최적화" (최창희 공저)
      보험금융연구, 제27권, 제2호, 2016년 5월, 81-109.

    20. "Retirement with Risk Aversion Change and Borrowing Constraints" (with Hoseok Lee)
      Finance Research Letters, Vol 16, Feb. 2016, 112-124.

    21. "금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고" (태현욱, 임상규 공저)
      한국증권학회지, 제44권, 제5호, 2015년 12월, 947-995.

    22. "Optimal Reinsurance and Asset Allocation under Regime Switching" (with Kyeong Tae Kim)
      Journal of Banking & Finance, Vol 56, 2015, 37-47.

    23. "Psychological Barriers and Option Pricing" (with Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin)
      Journal of Futures Markets, Vol 35, Issue 1, 2015, 52-74.

    24. "경기주기와 베이지안 학습기법을 고려한 개인의 자산관리 연구" (박세영, 이현탁, 이유나 공저)
      한국경영과학회지, Vol 39, No 2, 2014, 49-66.

    25. "Optimal Retirement Strategy with a Negative Wealth Constraint" (with Seyoung Park)
      Operations Research Letters, Vol 42, Issue 3, 2014, 208-212.

    26. "When Do the Unemplyed Jump in the Workforce?" (with Hyun Tak Lee and Seyoung Park)
      Management Science & Financial Engineering, Vol 19, No 2, 2013, 43-47.

    27. "Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee)
      Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604.

    28. "A Simple Iterative Method for the Valuation of American Options" (with In Joon Kim and Kyeong Tae Kim)
      Quantitative Finance, Vol 13, Issue 6, 2013, 885-895.

    29. "수치적 반복 수렴 방법을 이용한 CEV 모형에서의 아메리칸 풋 옵션 가격 결정" (이승규, 김인준 공저)
      대한산업공학회지, 제38권, 제4호, 2012년 12월, 244-248.

    30. "Stock Returns and Market Making with Inventory" (with Seyoung Park)
      Management Science & Financial Engineering, Vol 18, No 2, 2012, 1-4.

    31. "An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with Kum-Hwan Roh and Ji Hee Yoon)
      Operations Research Letters, Vol 39, Issue 3, 2011, 180-187.

    32. "마코프 국면전환을 고려한 이자율 기간구조 연구" (이유나, 박세영, 최종오 공저)
      대한산업공학회지, 제36권, 제3호, 2010, 203-211.

    33. "Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with Ji Hee Yoon)
      Journal of Banking & Finance, Vol 34, Issue 9, 2010, 2132-2145.

    34. "Valuing Qualitative Options with Stochastic Volatility" (with Kum-Whan Roh)
      Quantitative Finance, Vol 9, Issue 7, 2009, 819-825.

    35. "일반상품 가격을 어떻게 모형화 할 것인가?: 국내 파생결합증권(DLS)의 가치평가" (임상규, 이호석 공저)
      선물연구, 제17권, 제1호, 2009, 51-75.

    36. "A First-Passage-Time Model under Regime-Switching Market Environment" (with Mi Ae Kim and Ho-Seok Lee)
      Journal of Banking & Finance, Vol 32, Issue 12, 2008, 2617-2627.

    37. "A Reflected Diffusion Process in a Regime-Switching Environment" (with Gyoocheol Shim)
      Operations Research Letters, Vol 36, Issue 2, 2008, 177-183.

    38. "Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo, Hong Liu and Mark Loewenstein)
      Journal of Finance, Vol 62, No 5, 2007, 2329-2366.

    39. "An Algorithm for Optimal Portfolio Selection Problem with Transaction Costs and Random Lifetimes" (with U Jin Choi and Hyeng Keun Koo)
      Applied Mathematics and Computation, Vol 191, No 1, 2007, 239-252.

    40. "Optimal Portfolio Selection with Transaction Costs When an Illiquid Asset Pays Cash Dividends"
      Journal of Korean Mathematical Society, Vol 44, No 1, 2007, 139-150.

    41. "한국시장에서의 이자율 스왑 스프레드 결정 요인 연구" (임상규 공저)
      산업경제연구, 제20권, 제3호, 2007, 1105-1129.

    42. "Transaction Costs and Asset Valuation" (with Hyeng Keun Koo and U Jin Choi)
      Review of Accounting and Finance, Vol 3, No 4, 2004, 99-111.

▶ Working papers

  1. "Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee), under revision for the 2nd round review (Mathematics and Financial Economics).

  2. "Old-Age Inequality with Longevity Extension from Preventive Healthcare" (with Byung-June Kim)

  3. "Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models" (with Hyun-Tak Lee and Kyeong Tae Kim), submitted.

  4. "Stock Prices, Changes in Liquidity, and Liquidity Premia" (with Hyun-Tak Lee and Bong-Soo Lee)

  5. "Liquidity Premia, Transaction Costs, and Model Misspecification" (with Seungkyu Lee and Seyoung Park)

  6. "Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo)

  7. "Market Capitalization, Corporate Payouts, and Expected Returns" (with Bong-Soo Lee and Hyun-Tak Lee)

  8. "Optimal Reinsurance and Asset Allocation with Correlation Risks" (with Alain Bensoussan and Jin-Gi Kim, and Suengkyu Lee)

  9. "How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints" (with Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae)

  10. "Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk" (with Hyun-Tak Lee and Seyoung Park)

  11. "Convertible Bond Valuation with Regime Switching" (with Byung-June Kim), submitted

  12. "Short-Term Market Changes and Market Making with Inventory" (with Jin-Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park), submitted

  13. "American Put Options with Regime-Switching Volatility" (with Hyeng Keun Koo)

  14. "A Lattice Method for Lookback Options with Regime-Switching Volatility" (with Ji Hee Yoon, U Jin Choi and Byung Hwa Lim)

▶ 특허 출원

  • “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0077136 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2019.06.27.

  • “블록체인에 기반한 자동차 보험금 자동 지급 시스템, 방법 및 컴퓨터로 독출 가능한 기록 매체(System and Method of Automatic Payment of Insurance Being Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0041523 (한성호, 곽지영, 장봉규, 장혜지, 정동영, 채지원, 박준성, 김진기, 서웅기, 김태윤, 고영인, 김병준), 대한민국, 2019.04.09.

▶ 저술

‣ 채권 투자와 연기금의 자산관리, 2019년 8월, 미래에셋자산운용 발행 북챕터 예정

▶ Projects

  • Strategic asset allocation simulation system

미래에셋자산운용: 시뮬레이션 전략적 자산배분 시스템

MIRAE ASSET Global Investment, 2020

  • Educational Progam for Fostering Digital Human Resources in Shinhan Life Insurance

신한생명: 신한생명-포항공대 산학협력을 통한 디지털 인재양성

Shinhan Life Insurance, 2020

  • Development of FC-Customer Matching Model

신한생명: FC-고객 최적 매칭 모델 개발

Shinhan Life Insurance, 2020

  • A Study on the Predictability of the Kamco On-Bid Auction Data Using Machine Learning

한국자산관리공사: 기계학습을 이용한 온비드 공매지수의 경기예측 가능성

Korea Asset Management Corporation, Asset Management Arm (KAMCO) , 2019.

  • Development of Goal-Based Long-Term Asset Management Services

신한금융그룹: 목적기반 장기자산관리 서비스 개발

Shinhan Financial Group, 2019

  • Consultation on the Selection of the Korean Base Interest Rates

한국예탁결제원: 대체지표금리 개발 관련 정부정책 지원을 위한 연구용역

Korea Securities Depository, 2019

  • Development of Asset Management Model for the Korean Retirees

한화투자증권: 은퇴자산관리운용 모델 개발

Hanhwa Investment&Securities, 2018

  • Development of a New Default Probability Prediction Model (2nd renewal)

금감원: 新 부실확률 예측모형 2차 개편

Financial Supervisory Service, 2018

  • Development of Blockchain Platforms and Business Models towards Cross-domain Inter-compatibility

과기정통부: 크로스 도메인 호환성을 위한 블록체인 플랫폼 및 비즈니스 개발

ICT Research Center, 2018

  • A Study on the IFRS17 Interest Rates Scenarios for the Korean Insurers

금감원: IFRS17 시행 등 보험감독환경 변화에 따른 금리시나리오 산출 운영방법론에 관한 연구

Financial Supervisory Service, 2017

  • Development of a New Default Probability Prediction Model

금감원: 新 부실확률 예측모형

Financial Supervisory Service, 2017

  • Mid- and Long-Term Plans for the Korean Reverse Morgage System

주택금융공사: 주택연금 중장기 발전방안, 2017

Korea Housing Finance Corporation, 2017

  • Asset Management Using Stochastic Control

한국연구재단 일반연구지원사업(개인기초): 확률제어이론을 활용한 개인의 자산관리모형 개발

National Research Foundation, Nov. 2016 ~ Oct. 2017

  • Development of an Early-Warning System for the Korean Equity-Linked Security Market by Estimation of Order Volume Distributions

한국예탁결제원: 주문량 분포 추정을 이용한 ELS 조기경보시스템의 설계방안

Korea Securities Depository, 2016 ~ 2017

  • Development of the Discount Rates for Insurers under IFRS 4

보험 국제회계기준 하의 할인율 산출방법

Korea Life Insurance Association, May. 2015 ~ Aug. 2015

  • Development of Integrated Risk Management Financial System for Welfare Society

한국사회과학연구지원사업 SSK: 복지 사회를 위한 통합적 위험관리 금융시스템 구축

National Research Foundation, Sep. 2014 ~ Aug. 2017

  • Optimal Asset Management Utilizing Stochastic Differential Differential Equations for an Aging Society

중견연구: 고령화 사회에 대비하여 확률미분방정식을 활용한 개인의 자산관리 방법 연구

National Research Foundation, Dec. 2013 ~ Nov. 2016

  • Valuation of Derivative-Linked Securities by Modelling gold prices

금가격 모형화를 통한 DLS 상품의 가치평가), 2013

POSTECH(student research program), Jun. 2013 ~ Nov. 2013

  • Development of Enterprise Risk Management Model for Insurance Company

일반연구: 보험사의 전사위험관리 모형 개발

National Research Foundation, May. 2012 ~ Apr. 2015

  • (1) LIBOR and CD Rates during the Recent Economic Crisis, (2) The Valuation of Foreign Exchange Derivatives and Model Risks

(1) 금융위기와 국내외 은행의 금리조작 의혹, (2) 외환파생상품의 가치와 금융모형위험

POSTECH(student research program), Jun. 2012 ~ Nov. 2012

  • Inspection of the Suitability of the Credit Risk System

신용 리스크 시스템 정합성 검증

FIST Global Co., Aug. 2011 ~ Sep. 2011

  • A Study toward an Advanced Equity-Linked Securities Market

주가연계증권 시장의 선진화 방안 제언

Financial Supervisory Service, Sep. 2010 ~ Dec. 2010

  • Development of a Private Annuity Product

개인연금 상품 개발

MIRAE ASSET Securities Co., Sep. 2010 ~ Nov. 2010

  • Valuation of KIKO Products and Analysis of Their Recent Issues

키코 상품 가치평가를 통한 키코 사태의 쟁점 분석

POSTECH(student research program), Jul. 2010 ~ Nov. 2010

  • Inspection of the Suitability of the Operational Risk System

운영 리스크 시스템 정합성 검증

FIST Global Co., Mar. 2010 ~ Aug. 2010

  • Financial Risk Management Using a Markov Regime-Switching Model

신진 연구: 국면전환 모형을 활용한 금융위험관리 방법 연구

National Research Foundation, Mar. 2010 ~ Apr. 2012

  • Inspection of the Suitability of the Market Risk System

시장리스크 시스템 정합성 검증

FIST Global Co., Feb. 2010 ~ Aug. 2010

  • The Effect of Equity Linked Securities on the Korean Stock Market

주가연계증권이 현물 시장에 미치는 영향

POSTECH(student research program), Sep. 2009 ~ Feb. 2010

  • Markov Regime-Switching Models and its Application

국면전환 모형과 그 활용

POSTECH, April. 2008 ~ Feb. 2010